No,they're not.
For example: South Africa, Brazil, India and Ukraine are "developing countries".
Developing countries are nations with a lower living standard and lower national incomes.
We don't really refer to countries as "underdeveloped". Generally we might describe countries as developed and developing. We can however refer to countries in the developing category as "less developed" if they are not as developed as others. For example, we could describe Ethiopia and Bangladesh as less developed countries.
I hope this is helpful :)